What is Protected Layer?
It is to do with the way blender links armatures into other files. In the final video of Humane Rigging Nathan says that non-control bones should be on layers that have protected enabled and control bones should be on un-protected layers.

Even Nathan doesn't explain it much but it has something to do with the way armatures are linked between the original file and the proxy rig in another file. We are not meant to modify any rig bones in unprotected layers once the armature has a proxy rig in another file.